SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES

被引：22

作者：

Cattaneo, Matias D. ^{[1
]}

Crump, Richard K. ^{[2
]}

Jansson, Michael ^{[3
,4
]}

机构：

[1] Univ Michigan, Ann Arbor, MI 48109 USA

[2] Fed Reserve Bank New York, New York, NY USA

[3] Univ Calif Berkeley, Berkeley, CA 94720 USA

[4] CREATES, Warwick, England

来源：

ECONOMETRIC THEORY | 2014年 / 30卷 / 01期

基金：

美国国家科学基金会; 新加坡国家研究基金会;

关键词：

CENTRAL-LIMIT-THEOREM; SEMIPARAMETRIC ESTIMATORS; EDGEWORTH EXPANSIONS; QUADRATIC-FORMS; INDEX MODELS; U-STATISTICS; COEFFICIENTS; REGRESSION; EFFICIENCY; VARIANCE;

D O I：

10.1017/S0266466613000169

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes (apparently) novel standard error formulas for the density-weighted average derivative estimator of Powell, Stock, and Stoker (Econometrica 57, 1989). Asymptotic validity of the standard errors developed in this paper does not require the use of higher-order kernels, and the standard errors are "robust" in the sense that they accommodate (but do not require) bandwidths that are smaller than those for which conventional standard errors are valid. Moreover, the results of a Monte Carlo experiment suggest that the finite sample coverage rates of confidence intervals constructed using the standard errors developed in this paper coincide (approximately) with the nominal coverage rates across a nontrivial range of bandwidths.

引用

页码：176 / 200

页数：25

共 30 条

[1]

[Anonymous], 1986, Handbook of Econometrics, DOI DOI 10.1016/S1573-4412(05)80005-4

[2] Pairwise difference estimation with nonparametric control variables [J].